High-risk stocks do not have higher returns than low-risk stocks in all major stock markets.
This article provides a comprehensive overview of this low-risk effect, from the earliest asset …

It is well documented that less risky assets tend to outperform their riskier counterparts
across asset classes. This paper provides a structured summary of the current state of …

Stocks with low return volatility have high risk-adjusted returns, which might be driven by low
media attention for such stocks. Using news coverage data we formally test whether the …

The authors offer evidence for low-risk effect from the Indian stock market using the top-500
liquid stocks listed on the National Stock Exchange (NSE) of India for the period from …

The authors find that when measured in terms of dollar-turnover, and once β and low
volatility (low-vol) neutralized, the size effect is alive and well. With a long-term t-statistic of …

The role of portfolio construction in the implementation of equity market neutral factors is
often underestimated. Taking the classical momentum strategy as an example, we show that …

The authors advocate the use of agnostic allocation for the construction of long-only
portfolios of stocks. Agnostic allocation portfolios (AAPs) are a special member of a family of …

Purpose It has been demonstrated in the US market that expected market excess returns
can be predicted using the average higher-order moments of all firms. This study aims to …

In this article, we assess whether German private investors gamble in the stock market.
Other studies that have analyzed private investors' preferences with regard to lottery-like …

We propose a framework for long-term cross-asset portfolio choice in which the estimation of
the covariance matrix is subject to climate risk. We model the future volatility and correlation …